Indian Institute of Quantitative Finance
Center of Excellence in Quantitative Finance and Financial Engineering
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FACULTY / VISITING FACULTY
- Dr. Amit Puniyani, Ph.D. (Statistical Physics and Computational Methods) Stanford University, Stanford CA, USA, B. Tech. (Engineering Physics) IIT Bombay. He is currently Associate (AVP), Quantitative Risk with Nomura, where he is responsible for VaR methodologies and works on historical simulation VaR process.
He has extensive experience working in financial industry on valuation and risk management of financial derivatives. He has extensive product knowledge encompassing fixed income, credit and hybrid equity derivatives. He has expertise in stochastic calculus based financial mathematics and experience in working with regression based models in mortgage finance and extensive experience applying statistical data analysis methods to financial data. He has expertise in presenting complex mathematical and statistical ideas to traders and sales people. He has well experienced in mentoring quantitative analysts, desk traders and programmers.
Previously he was Analyst (Manager), Valuation Control, Standard Chartered Bank, New York where he was responsible for Model usage & calibration review of Interest Rate/Foreign Exchange and Equity Derivatives desks.
Prior to that he worked as Associate, Quantitative Risk Analytics, Lehman Brothers, New York. He tested and validated Lehman Brothers Equity derivatives and credit derivatives pricing analytics.
He was Consulting Associate, Fixed Income Strategy research with J P Morgan Chase, New York where he supported clients and JPM trading desks on Futures and Options analytics.
He was a Teaching Associate in the Department of Physics, Stanford University where he taught undergraduate and graduate classes on Quantum Mechanics, classical mechanics and bio-statistics.
- Dr. Binay Kumar Ray, Ph.D. (Econometrics) IGIDR, MBA ISB and BE (Mining Eng.) BITS Dhanbad. He is currently AVP Quantitative Risk with DBS Singapore. He is responsible for setting up Quant-based risk analytics.
Previously he was AVP Quantitative Risk team with Nomura Sec. (formerly Lehman Brothers) one of top four Wall Street Investment Banks. A Quant professional with more than half a decade of experience in Modeling, Measurement and Management of Quantitative risk and analytical projects. He is the first person to start the Quant Credit Risk Team in India for the Lehman Brothers for their entire Asia-Pacific trading desk and received an Outstanding Award for setting up the Quant Credit Risk team and exposure estimation. He was responsible for risk exposure estimation for structured Credit Derivatives trades generated from Asia trading desk. Currently he is involved in developing a simulation-based system for commodity derivatives.
Previously he was Independent Consultant with Stadiamarketing (USA), Roulac Global Places where he managed and worked with economics and data analyst team on different Economics projects.
He was Senior Consultant with the Decision and Marketing Science Team of General Electrics Capital International Services where he developed score-card model for retail (credit card, bank account, PLCC, Loan, Mortgage etc) for Acquisition, Attrition, Cross-sell and Customer Segmentation analysis for USA biggest retail chain firm.
He was Senior Analyst, Analytics Team with Mckinsey and Company where he worked on and managed the Analytics area projects using various econometric and Time series techniques.
He is a visiting faculty at NITIE and NMIMS where he teaches Financial Econometrics, Time Series Analysis and Derivative Modelling.
- Dr. M.P. Rajan, Ph.D. IIT-Madras, Assistant Professor, Mathematics, School of Mathematics, Indian Institute of Science Education & Research. He has extensive experience in industry, research and academics.
He had worked with a tier-I Wall Street Investment Bank, Goldman Sachs as Quant Analyst in the Fixed Income, Currency, Commodity and Strategy Division where he was engaged in research and development activities. He has designed and developed financial applications for interest rate and forex derivatives.
Previously he has been an Associate Professor in Financial Engineering and Mathematics with the Dept. of Mathematics, IIT-Guwahati where he headed the Quantitative Finance Research and Development Group. He also worked as Professor and Head of a Computer Science department, Anna University, Chennai.
He has extensive post doctoral research experience and has authored many research papers published in highly reputed international journals. Visited Stanford University, USA, University of Kaiserslautern, Germany and University of Linz, Austria as part of Post Doctoral research activities. He has been referee for many highly reputed International Journals. He also offers consultancy in financial engineering.
- Dr. Bobby Dutta is the Head of Client Training, Asia Pacific Region for Thomson Reuters. He is a highly qualified Financial Expert holding Ph.D. (Finance), MBA, CFA, FRM, CQF degrees and having more than 16 years of work experience in the Finance domain. He has expertise in Quantitative Finance, Risk Management, Financial Markets, Project Finance, Project Management, Application development and Programming in VBA. He has personally conducted more than 50 workshops/seminars in various international locations on a wide variety of financial topics. He has authored and published several research papers, financial books and articles. He has consulted for Operational Risk Management Project.
Prior to joining Thomson Reuters he worked with Dun & Bradstreet as a Domain Specialist. He has spent more then 9 years in Academics. He is passionate about learning new concepts and skills. He Loves Teaching!
- Dr. Joydeep Roy, Ph.D. (Physics) Boston College, USA, MS (Physics) Boston College, USA and M.Sc. (Physics) IIT Kharagpur. He is Assistant Professor (Physics) Heritage Institute of Technology where he teaches Statistical Mechanics, a field that forms the foundation of quantitative finance. He has extensive research and academic experience in this domain and is a member of American Physical Society.
He has been a Research Associate at Cornell University, New York.
- Abhijit Biswas, Director and Head of Product Development at Risk Infotech Solutions, India’s premiere company of Portfolio Risk Management Software Products. He is the founder Director of IIQF. With over ten years worth of experience in research and development in the field of Financial Engineering, Risk Modelling, Derivatives and Risk Management Software Systems Development, he is one of the pioneers of Risk Modelling Technologies in India. He is also an expert in Monte-Carlo Simulation theories and systems and advanced simulation technologies applied to finance and general business risks.
As a Quant professional, he has created numerous breakthroughs in Risk Modelling Technology in India. He has co-developed India’s first and principal Multi-Factor Risk Model for the Equity market, and India’s first and only one of a kind Multi-Factor Risk Model for the Fixed Income market. He has also developed India’s first commercial grade large scale Monte Carlo Simulation system for business analytics using Excel spreadsheet models.
He also received Venture Capital funding to start up one of India’s first software product companies to research and develop risk management systems in India which caters to major global financial institutions.
He has been a consultant to major global financial institutions in risk management domain. He has conducted training programs on statistics, econometrics, simulations, etc. for the top and mid level executives of the National Stock Exchange. He has conducted training programs for the Bombay Stock Exchange and other institutions. He regularly conducts training programs for FRM aspirants across India.
- Amrendra Kumar is Senior Trader and Strategist for International Markets (Fixed Income, Commodities and Energy) at Centaurus Financial Services India where he is responsible for developing quantitative strategies for Trading & Risk Management and mentoring/managing new Traders. As a Fixed Income Trader his experience is in Trading Bond/Treasury futures, STIR futures, Eurodollars, Swaps, Commodities and Energy products in the International Markets across exchanges (CME, CBOT, LIFFE, EUREX, ICE, EURONEXT).
Previously he had worked with Bank of Baroda in the Economic Analysis Wing where he worked on the issue of Benchmark Prime Lending Rates (BPLR), the Interest rates pass through mechanism in India and the financial stability of the banking system. He has authored paper on Effectiveness of the Black-Scholes model in Pricing options on S&P CNX Nifty and presented in The Indian Econometric Society (TIES) Conference.
He holds an M.Sc. (Economics) IGIDR and Statistics for Financial Engineers from University of California, Berkely (Haas School of Business).
- Anand Sabale, FRM. He is Partner at SPN Risk Solutions LLP. He has over six years of experience in risk management consulting , performance analytics and algorithmic trading. He has researched, traded and advised on statistical arbitrage trading. He is involved in risk management consulting and performance analytics for hedge funds and fund of hedge funds. Previously he had worked with Capital Metrics and Risk Solutions where he was involved in developing quantitative trading strategies and performance analytics for hedge funds.
He is M.Tech. IIT Kanpur, BE Shivaji University and an FRM holder.
- Anshuk Batra has vast experience in Risk Modelling, Risk Analytics, Financial Analytics, Statistical Modelling, and Consultancy. He has implemented Basel II and other Risk Management solutions for international banks. He is currently working with TCS wherein he is responsible for implementing Operational Risk, ALM, and Market Risk. Previously he worked with Oracle Financial Services as a consultant for implementing Basel II, Credit Risk, etc. Anshuk holds a B.Tech, Post Graduation in Banking Technology Management, FRM, and NCFM.
- Ashish Agarwal is currently a senior consultant specializing in the areas of financing, mergers and acquisitions and financial modelling specially for the infrastructure sector. He is a chartered accountant by profession and has worked with KPMG in their Mergers and Acquisitions practice. He has also worked at Citibank Treasury. He is a visiting faculty for various institutes in the areas of banking and finance. He holds a Masters in International Securities Investment and Banking from University of Reading, UK.
- Guruprasad Jambunathan has four years of experience in quantitative analysis & risk analysis with Irevna, CRISIL where he is responsible for undertaking advanced quantitative and risk-based analysis. He has been conducting training in relevant field for over three years. He holds a MBA Finance, degree in Statistics, FRM, CFA.
- Hari Paramkusam has worked as a Quant Risk Analyst for RWE Npower, UK where he was responsible for application and formulation of Poisson and Markov Chain hedge optimisation models, development of Short Term Wind Optimisation Model, and VaR Models for Multi-Commodity Spread Options. He has expertise in Stochastic Models and Lattice Framework for Derivatives. Hari holds an M.Sc. in Financial Mathematics from University of Warwick and a B.Tech.
- Jyotishman Chatterjee is currently teaching at Heritage Institute of Technology. He has over sixteen years of work experience in the IT industry consulting for the BFSI segment. He holds an M. Tech. (Computer Science) Indian Statistical Institute, M.Stat. Indian Statistical Institute, B.Stat. Indian Statistical Institute.
- Kalyan Roy, Ph.D. candidate in Statistics from Indiana University, Bloomington, U.S.A., Master of Statistics Indian Statistical Institute, Kolkata, Bachelor of Statistics Indian Statistical Institute, Kolkata. He is a vastly experienced professional. In a career spanning over sixteen years he has held various positions in the industry.
He is currently working as a Quantitative Analyst with Deep Value Technology, an innovative firm specializing in high-performance algorithmic trading strategy vehicles. He is involved in studying stochastic models of equity market microstructure, developing ultra high frequency trading algorithms, statistical modeling, estimation of volatility based on ultra high frequency data, building factor models for the S&P500 stocks, statistical modeling of market and limit order arrival times and cancellation times and ultra high frequency equity price time series.
Previously he had worked as Statistical Consultant with Indiana University, U.S.A. where he was involved in modeling for researchers in physical, biomedical and social sciences. He had worked as Statistical Analyst with CITIBANK, Chicago, U.S.A. where he worked on consumer response modeling. He worked as Statistical Analyst with BANK ONE, Delaware, U.S.A. where he worked on consumer credit risk modeling. He had worked as Statistical Modeler with IMS America, Pennsylvania, U.S.A. He had been a Lead Consultant with Symphony Services, Bangalore, India and Market Research Director with IMRB International, New Delhi.
- Omkar Redkar is a credit risk analyst with a leading global bank. Previously he had worked with CRISIL, India's leading credit rating organization and Bank of America as Credit Analyst, Corporate Debt Products. He has over six years of experience. He is an MBA Finance (SIBM), BE and FRM.
- Pankaj Jain is currently working as an ERP Financials consultant. He has over six years of experience. Earlier he worked at SAP Labs as Principal Software Engineer for Treasury and Risk Management team. He has extensive experience of Credit Risk, Market Risk, Portfolio Analysis, Treasury, Position Management, Hedge Management and Exposure Management. He holds a BE, NCFM and is a member of Actuarial Society of India.
He holds five US Patents in Portfolio Optimization, Exposure Management System for financial risk management, valuation of implicit derivatives like caplets and floorlets, Treasury ledger position selector, etc.
- Ritesh Ujwal, works with the treasury of a top private sector bank where he is responsible for valuation of Forex solutions, Structured Derivatives Products and bullion. He has authored research papers on modeling USD/INR options with discontinuous returns, modelling short-term exchange rate dynamics using Monte Carlo, Calibrated Jump-Diffusion model and Modified BSM model. He holds an MBA IIM-C, BE, FRM and LIFA.
- Rohit Pratap Singh works with the M&A and Corporate Advisory Group of SBI Capitals Markets, the Investment Bank arm of SBI. He has over four years of experience and hold an MBA Finance from IIT-Kharagpur, B.Tech., CFA (Level-III candidate), NCFM.
- Sachin Shetty is a senior management professional with the National Stock Exchange of India Limited. He is involved in the model and system development of INDIA VIX, India’s volatility index. He is also responsible for conceptualization and product design of repos in corporate bonds. Earlier he worked in Clearing Corporation of India Limited where he had been involved in the development of risk management systems for Forex Forward Swaps Trading System platform and Interest Rate Swaps. He holds an MMS (Finance) and FRM.
- Sujit Vettam, M.S. (Statistics) Stanford University, USA and B.S. (Mathematics, Computer Science), Utah State University, USA, recipient of Annie-Hunsaker scholarship from the Department of Mathematics and Statistics, Utah State University.
Sujit is currently a Consultant providing clients with cutting edge solutions in Analytics, Predictive Modeling, Data Mining, Large Dataset Analysis and Marketing Optimization.
Previously he had worked as Statistician with Web Research and Analytics, Intuit Inc, Mountain View, California, USA where he was involved in analyzing large datasets of clickstream data and developed data mining models to predict customer usage patterns and behaviors. Prior to that he worked as Research Assistant with the Department of Statistics, Stanford University, California, USA.
He has been a Statistics Consultant with the Institute of Clinical Outcomes Research and Education, Stanford University, California, USA where he analyzed large insurance claims data searching for patterns and trends. He was a Statistics Consultant with Louisiana State University Health Science Center, Louisiana, USA, where he carried out statistical data analysis for a research project in clinical nutrition.
Among his many noteworthy works is an implementation of a new algorithm for web searching using a tree-based composed pages approach which was found to produce search results which were qualitatively better than the Google search results.
- Ujwal Dinesh works with one of the top four Wall Street Investment Banks as Credit Analyst where he is responsible for structuring and recommending exposure for fund-based, non fund-based and derivative facilities. He has experience of statistical modelling of short-term interest rates in India. He has been a visiting faculty at leading business schools. He is an MBA from IIM-Calcutta, BE, FRM, CFA (Level-III candidate).
- Vishal Singhi, is the Chief Manager – Treasury in Kotak Mahindra Bank, where his responsibilities include structuring of Forex and interest rate derivative products, designing hedging strategies, risk analysis, pricing of path dependent exotic options, etc. He has over five years of experience in industry and also in teaching in business schools. He holds an MMS in Finance and Certificate in Financial Engineering.
- Vimal Pathak, is currently the Chief Manager (Risk) and Head of Credit Risk Management in a top private sector bank. He has over nine years of experience in developing Risk Rating Models for large corporates and has implemented Basel II in leading banks and conducted trainings. Previously he was a Risk Management Consultant with Oracle Financial Services. He is a PGDBA, CAIIB-IBA, ISA-ICAI, FRM, and CA.
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